Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 12 (1D) Dec 15 (4D) Dec 16 (5D) Dec 17 (6D) Dec 18 (7D) Dec 19 (8D) Dec 22 (11D) Dec 23 (12D) Dec 24 (13D) Dec 25 (14D)
lower 683.813 678.456 677.192 676.049 674.997 674.019 671.403 670.613 669.856 669.127
upper 694.527 699.884 701.148 702.291 703.343 704.321 706.937 707.727 708.484 709.213
expected move 5.357 10.714 11.978 13.121 14.173 15.151 17.767 18.557 19.314 20.043
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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